245
245

Jul 22, 2016
07/16

by
Johann Pistorius

texts

######
eye 245

######
favorite 0

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=e8CYKnnDOtEC&hl=&source=gbs_api

5
5.0

Feb 20, 2019
02/19

by
Pistorius, George

texts

######
eye 5

######
favorite 1

######
comment 0

223 p. ; 19 cm

Topics: French fiction -- 20th century -- History and criticism, Germany in literature

158
158

Oct 30, 2014
10/14

by
Pistorius, Johann

texts

######
eye 158

######
favorite 0

######
comment 0

761
761

Jan 17, 2015
01/15

by
J Pistorius

texts

######
eye 761

######
favorite 0

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=apNO3QXrJicC&hl=&source=gbs_api

484
484

Nov 30, 2014
11/14

by
Johann Pistorius

texts

######
eye 484

######
favorite 0

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=QLFAAQAAIAAJ&hl=&source=gbs_api

475
475

Sep 22, 2014
09/14

by
Johannes Pistorius

texts

######
eye 475

######
favorite 0

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=2GZLAAAAcAAJ&hl=&source=gbs_api

A new MP3 sermon from John Pistorius, Pastor is now available on SermonAudio with the following details: Title: Sweet, Sweet Spirit Subtitle: Revival Us Again p4 Speaker: John Pistorius Broadcaster: John Pistorius, Pastor Event: Sunday Service Date: 9/28/2014 Bible: Joel 2:28-32; Proverbs 1:23 Length: 27 min.

107
107

Dec 12, 2014
12/14

by
Johann Pistorius

texts

######
eye 107

######
favorite 0

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=pD6l_bTQTGAC&hl=&source=gbs_api

233
233

Oct 4, 2010
10/10

by
Pistorius, Micki

texts

######
eye 233

######
favorite 2

######
comment 0

"A Penguin original"--P. [4] of cover

Topics: Serial murder investigation, Serial murderers, Criminal behavior, Prediction of

6
6.0

Jun 17, 2019
06/19

by
Pistorius, Rolf

texts

######
eye 6

######
favorite 0

######
comment 0

160 pages : 33 cm

Topics: Margarete Steiff GmbH, Toys -- Germany, Teddy bears -- Germany, Toys, Teddy bears, Germany

82
82

Carmen in felicem reditvm Reverendissimi et Illvstrissimi Principis et Domini lohannis Adolphi, Archiepiscopi Bremensis, Episcopi Lubecensis etc., Hæredis Norwegiæ, Ducis Sleswicensis, Holsatiæ, Stormariæ & Dietmarsiæ, Comitis in Aldenburg & Delmenhorst, Principis & Domini sui elementissimi ... Anno 1594, D. 21. M. Novemb., scriptum ... a Theodoro Pistorio

Oct 23, 2014
10/14

by
Pistorius, Theodor

texts

######
eye 82

######
favorite 0

######
comment 0

4 bl.

Topics: Carmen in reditum ducis Johannis Adolphi, Historie. II - Slesvig og Holsten History - Schleswig and...

419
419

Sep 6, 2016
09/16

by
Pistorius, Georg

texts

######
eye 419

######
favorite 0

######
comment 0

Topics: bub_upload, Leichenpredigt

Source: http://books.google.com/books?id=y5xCAAAAcAAJ&hl=&source=gbs_api

716
716

Dec 3, 2014
12/14

by
Johann Pistorius

texts

######
eye 716

######
favorite 1

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=JG0xMJk5JskC&hl=&source=gbs_api

1,378
1.4K

Feb 6, 2015
02/15

by
J Pistorius

texts

######
eye 1,378

######
favorite 0

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=bhmbmDxHTcQC&hl=&source=gbs_api

4
4.0

Nov 28, 2019
11/19

by
Pistorius, Alan

texts

######
eye 4

######
favorite 0

######
comment 0

xii, 274 pages : 26 cm

Topics: Bird watching, Bird attracting

120
120

Dec 5, 2014
12/14

by
Johann Pistorius

texts

######
eye 120

######
favorite 0

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=kSvUlFgvvzIC&hl=&source=gbs_api

131
131

Sep 28, 2014
09/14

by
Johann Pistorius

texts

######
eye 131

######
favorite 0

######
comment 0

Topics: bub_upload, genealogy

Source: http://books.google.com/books?id=6Xc8AAAAcAAJ&hl=&source=gbs_api

656
656

Aug 17, 2016
08/16

by
Johann Pistorius

texts

######
eye 656

######
favorite 0

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=TmDWhtfribsC&hl=&source=gbs_api

496
496

Sep 25, 2014
09/14

by
Joannes Pistorius

texts

######
eye 496

######
favorite 0

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=4AoxSIvFbX8C&hl=&source=gbs_api

53
53

Sep 19, 2013
09/13

by
Aleksandar Mijatović; Martijn Pistorius

texts

######
eye 53

######
favorite 0

######
comment 0

In this note we generalise the Phillips theorem on the subordination of Feller processes by Levy subordinators to the class of additive subordinators (i.e. subordinators with independent but possibly nonstationary increments). In the case where the original Feller process is Levy we also express the time-dependent characteristics of the subordinated process in terms of the characteristics of the Levy process and the additive subordinator.

Source: http://arxiv.org/abs/0909.4881v1

39
39

Sep 22, 2013
09/13

by
Zbigniew Palmowski; Martijn Pistorius

texts

######
eye 39

######
favorite 0

######
comment 0

We analyze the asymptotics of crossing a high piecewise linear barriers by a renewal compound process with the subexponential jumps. The study is motivated by ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions when the initial reserves of both companies tend to infinity.

Source: http://arxiv.org/abs/0805.1631v1

68
68

Sep 19, 2013
09/13

by
Jan Obloj; Martijn Pistorius

texts

######
eye 68

######
favorite 0

######
comment 0

We present an explicit solution to the Skorokhod embedding problem for spectrally negative L\'evy processes. Given a process $X$ and a target measure $\mu$ satisfying an explicit admissibility condition we define functions $\f_\pm$ such that the stopping time $T = \inf\{t>0: X_t \in \{-\f_-(L_t), \f_+(L_t)\}\}$ induces $X_T\sim \mu$. We also treat versions of $T$ which take into account the sign of the excursion straddling time $t$. We prove that our stopping times are minimal and we...

Source: http://arxiv.org/abs/math/0703597v3

51
51

Sep 22, 2013
09/13

by
Marc Jeannin; Martijn Pistorius

texts

######
eye 51

######
favorite 0

######
comment 0

In this paper we develop an algorithm to calculate the prices and Greeks of barrier options in a hyper-exponential additive model with piecewise constant parameters. We obtain an explicit semi-analytical expression for the first-passage probability. The solution rests on a randomization and an explicit matrix Wiener-Hopf factorization. Employing this result we derive explicit expressions for the Laplace-Fourier transforms of the prices and Greeks of barrier options. As a numerical illustration,...

Source: http://arxiv.org/abs/0812.3117v2

40
40

Jul 20, 2013
07/13

by
Zbigniew Palmowski; Martijn Pistorius

texts

######
eye 40

######
favorite 0

######
comment 0

We derive the exact asymptotics of $P(\sup_{u\leq t}X(u) > x)$ if $x$ and $t$ tend to infinity with $x/t$ constant, for a L\'{e}vy process $X$ that admits exponential moments. The proof is based on a renewal argument and a two-dimensional renewal theorem of H\"{o}glund (1990).

Source: http://arxiv.org/abs/0804.3169v2

136
136

Sep 17, 2013
09/13

by
Aleksandar Mijatović; Martijn Pistorius

texts

######
eye 136

######
favorite 0

######
comment 0

In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically tractable formulae for the prices of a range of first-generation exotic derivatives. We provide closed form formulae for the Fourier transforms of vanilla and forward starting option prices as well as a formula for the slope of the implied volatility smile...

Source: http://arxiv.org/abs/0912.2595v2

Thesis (B.S.)--University of Illinois, 1911

Topics: Building, Iron and steel, Office buildings, Theses

5
5.0

Jun 14, 2018
06/18

by
Pistorius, Oscar, 1986-

texts

######
eye 5

######
favorite 0

######
comment 0

xii, 217 pages (large print) : 24 cm

Topics: Pistorius, Oscar, 1986-, Pistorius, Oscar, 1986-, Runners (Sports) -- South Africa -- Biography,...

24
24

Sep 18, 2013
09/13

by
M. R. Pistorius

texts

######
eye 24

######
favorite 0

######
comment 0

Consider the problem to explicitly calculate the law of the first passage time T(a) of a general Levy process Z above a positive level a. In this paper it is shown that the law of T(a) can be approximated arbitrarily closely by the laws of T^n(a), the corresponding first passages time for X^n, where (X^n)_n is a sequence of Levy processes whose positive jumps follow a phase-type distribution. Subsequently, explicit expressions are derived for the laws of T^n(a) and the upward ladder process of...

Source: http://arxiv.org/abs/math/0502192v1

43
43

Sep 22, 2013
09/13

by
Aleksandar Mijatovic; Martijn Pistorius

texts

######
eye 43

######
favorite 0

######
comment 0

In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given Markov model. We illustrate the method by implementing it for a range of models, including a local Levy process and a local volatility jump-diffusion. We also provide a convergence proof and error estimates for this algorithm.

Source: http://arxiv.org/abs/0908.4028v2

58
58

Jan 10, 2015
01/15

by
F ..... H ..... Pistorius

texts

######
eye 58

######
favorite 0

######
comment 0

Topic: bub_upload

Source: http://books.google.com/books?id=6Q5QAAAAcAAJ&hl=&source=gbs_api

31
31

Aug 13, 2017
08/17

by
Leif Jensen-Pistorius

software

######
eye 31

######
favorite 0

######
comment 0

Hyperbrain_3

Topics: hypercard, hypercard_stack, hypercard_miscellaneous

0
0.0

Jun 30, 2018
06/18

by
Aleksandar Mijatović; Martijn Pistorius

texts

######
eye 0

######
favorite 0

######
comment 0

Let $\xi_1,\xi_2,\ldots$ be an iid sequence with negative mean. The $(m,n)$-segment is the subsequence $\xi_{m+1},\ldots,\xi_n$ and its \textit{score} is given by $\max\{\sum_{m+1}^n\xi_i,0\}$. Let $R_n$ be the largest score of any segment ending at time $n$, $R^*_n$ the largest score of any segment in the sequence $\xi_{1},\ldots,\xi_n$, and $O_x$ the overshoot of the score over a level $x$ at the first epoch the score of such a size arises. We show that, under the Cram\'er assumption on...

Topics: Probability, Mathematics

Source: http://arxiv.org/abs/1402.5858

52
52

Sep 22, 2013
09/13

by
Zhengjun Jiang; Martijn Pistorius

texts

######
eye 52

######
favorite 0

######
comment 0

We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the current state of the chain. In this setting the objective of the company is to maximize the expected cumulative discounted dividend payments until the moment of bankruptcy, which...

Source: http://arxiv.org/abs/0812.4978v2

42
42

Sep 22, 2013
09/13

by
Marc Jeannin; Martijn Pistorius

texts

######
eye 42

######
favorite 0

######
comment 0

In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Levy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Levy model with hyper-exponential jumps. Inversion of these single Laplace transform yields rapid, accurate results. These results are employed to construct an approximation of the prices and sensitivities of barrier...

Source: http://arxiv.org/abs/0812.3128v2

0
0.0

Jun 29, 2018
06/18

by
Martijn Pistorius; Mitja Stadje

texts

######
eye 0

######
favorite 0

######
comment 0

In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we require that a dynamic deviation measures satisfies a generalised conditional variance formula. We show that, under a domination condition, dynamic deviation measures are characterised as the solutions to a certain class of backward SDEs. We establish for any dynamic deviation measure an integral representation, and...

Topics: Probability, Portfolio Management, Risk Management, Quantitative Finance, Mathematics

Source: http://arxiv.org/abs/1604.08037

50
50

Sep 22, 2013
09/13

by
Bjorn Eriksson; Martijn Pistorius

texts

######
eye 50

######
favorite 0

######
comment 0

We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option prices are linked to certain infinite dimensional linear programming problems. Subsequently approximating those systems by finite dimensional linear programming problems, upper and lower bounds for the prices of such options are found. As numerical illustration we apply the method to the valuation of several...

Source: http://arxiv.org/abs/0812.4548v1

27
27

Sep 18, 2013
09/13

by
Z. Jiang; M. R. Pistorius

texts

######
eye 27

######
favorite 0

######
comment 0

In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching L\'{e}vy model. For the case of the (dense) class of phase-type jumps and finitely many regimes we derive an explicit expression for the value function. The solution of the corresponding first passage problem under a state-dependent level rests on a path transformation and a new matrix Wiener-Hopf factorization result for this class of processes.

Source: http://arxiv.org/abs/0803.2302v1

11
11

Mar 26, 2019
03/19

by
Pistorius, Johann Philipp, active 1684

texts

######
eye 11

######
favorite 0

######
comment 0

90
90

Sep 22, 2013
09/13

by
Aleksandar Mijatovic; Martijn R. Pistorius

texts

######
eye 90

######
favorite 0

######
comment 0

The {\em drawdown} process $Y$ of a completely asymmetric L\'{e}vy process $X$ is equal to $X$ reflected at its running supremum $\bar{X}$: $Y = \bar{X} - X$. In this paper we explicitly express in terms of the scale function and the L\'{e}vy measure of $X$ the law of the sextuple of the first-passage time of $Y$ over the level $a>0$, the time $\bar{G}_{\tau_a}$ of the last supremum of $X$ prior to $\tau_a$, the infimum $\unl X_{\tau_a}$ and supremum $\ovl X_{\tau_a}$ of $X$ at $\tau_a$ and...

Source: http://arxiv.org/abs/1103.1460v2

1
1.0

Jun 30, 2018
06/18

by
Zbigniew Michna; Zbigniew Palmowski; Martijn Pistorius

texts

######
eye 1

######
favorite 0

######
comment 0

In this article we derive formulas for the probability $P(\sup_{t\leq T} X(t)>u)$ $T>0$ and $P(\sup_{t u)$ where $X$ is a spectrally positive L\'evy process with infinite variation. The formulas are generalizations of the well-known Tak\'acs formulas for stochastic processes with non-negative and interchangeable increments. Moreover, we find the joint distribution of $\inf_{t\leq T} Y(t)$ and $Y(T)$ where $Y$ is a spectrally negative L\'evy process.

Topics: Probability, Mathematics

Source: http://arxiv.org/abs/1410.2554

55
55

Sep 20, 2013
09/13

by
Florin Avram; Zbigniew Palmowski; Martijn R. Pistorius

texts

######
eye 55

######
favorite 0

######
comment 0

Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem considered is that of the corresponding two-dimensional risk process first leaving the positive quadrant; another is that of entering the negative quadrant. When the claims arrive according to a Poisson process, we obtain a closed form expression for the ultimate...

Source: http://arxiv.org/abs/0802.4060v2

27
27

Sep 21, 2013
09/13

by
Dilip Madan; Martijn Pistorius; Mitja Stadje

texts

######
eye 27

######
favorite 0

######
comment 0

A distorted expectation is a Choquet expectation with respect to the capacity induced by a concave probability distortion. Distorted expectations are encountered in various static settings, in risk theory, mathematical finance and mathematical economics. There are a number of different ways to extend a distorted expectation to a multi-period setting, which are not all time-consistent. One time-consistent extension is to define the non-linear expectation by backward recursion, applying the...

Source: http://arxiv.org/abs/1301.3531v1

California Digital Library

716
716

Nov 9, 2007
11/07

by
Hartley, David, 1705-1757; Pistorius, Hermann Andrew

texts

######
eye 716

######
favorite 0

######
comment 0

pt. the first. Containing observations on the frame of the human body and mind. The 4th ed.--pt. the second. Containing observations on the duty and expectations of mankind. The 4th ed.--[pt. the third] Notes and additions to Dr. Hartley's Observations on man; by H. A. Pistorius; tr. from the German original, printed at Rostock and Leipzig in MDCCãXXII, to which is prefixed, a sketch of the life and character of Dr. Hartley. The 3d ed

Topics: Philosophy, Apologetics

California Digital Library

1,509
1.5K

Nov 9, 2007
11/07

by
Hartley, David, 1705-1757; Pistorius, Hermann Andrew

texts

######
eye 1,509

######
favorite 1

######
comment 0

pt. the first. Containing observations on the frame of the human body and mind. The 4th ed.--pt. the second. Containing observations on the duty and expectations of mankind. The 4th ed.--[pt. the third] Notes and additions to Dr. Hartley's Observations on man; by H. A. Pistorius; tr. from the German original, printed at Rostock and Leipzig in MDCCãXXII, to which is prefixed, a sketch of the life and character of Dr. Hartley. The 3d ed

Topics: Philosophy, Apologetics

0
0.0

Jun 30, 2018
06/18

by
Aleksandar Mijatovic; Martijn Pistorius; Johannes Stolte

texts

######
eye 0

######
favorite 0

######
comment 0

We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times of sets. The method is based on a recursive approximation of the first-passage time probability and expected occupation time of sets of a Levy bridge process that relies in part on a randomisation of the time parameter. We establish this recursion for general Levy processes and derive its explicit form for...

Topics: Probability, Mathematics, Quantitative Finance, Computational Finance

Source: http://arxiv.org/abs/1410.7316

0
0.0

Jun 30, 2018
06/18

by
Dilip Madan; Martijn Pistorius; Mitja Stadje

texts

######
eye 0

######
favorite 0

######
comment 0

In this paper we present a weak approximation scheme for BSDEs driven by a Wiener process and an (in)finite activity Poisson random measure with drivers that are general Lipschitz functionals of the solution of the BSDE. The approximating backward stochastic difference equations (BS\Delta Es) are driven by random walks that weakly approximate the given Wiener process and Poisson random measure. We establish the weak convergence to the solution of the BSDE and the numerical stability of the...

Topics: Probability, Mathematics

Source: http://arxiv.org/abs/1406.7145

84
84

Sep 17, 2013
09/13

by
Florin Avram; Zbigniew Palmowski; Martijn Pistorius

texts

######
eye 84

######
favorite 0

######
comment 0

In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance company). Modeling the risk processes of the insurance companies by Cram\'{e}r-Lundberg processes we obtain the Laplace transform in space of the probability that either of the insurance companies is ruined in finite time. Subsequently, for exponentially...

Source: http://arxiv.org/abs/0711.2465v1

27
27

Sep 22, 2013
09/13

by
Florin Avram; Andras Horvath; M. R. Pistorius

texts

######
eye 27

######
favorite 0

######
comment 0

We recall four open problems concerning constructing high-order matrix-exponential approximations for the infimum of a spectrally negative Levy process (with applications to first-passage/ruin probabilities, the waiting time distribution in the M/G/1 queue, pricing of barrier options, etc). On the way, we provide a new approximation, for the perturbed Cramer-Lundberg model, and recall a remarkable family of (not minimal order) approximations of Johnson and Taaffe, which fit an arbitrarily high...

Source: http://arxiv.org/abs/1210.2611v1

53
53

Sep 17, 2013
09/13

by
Soeren Asmussen; Dilip Madan; Martijn Pistorius

texts

######
eye 53

######
favorite 0

######
comment 0

The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY L\'{e}vy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform inversion. Calibration of the CGMY model to market option prices defines the risk neutral process for which we infer the first passage times of stock prices to 30% of the price level at contract initiation. These distributions are then used in pricing 50% recovery...

Source: http://arxiv.org/abs/0711.2807v1

103
103

Sep 23, 2013
09/13

by
Florin Avram; Zbigniew Palmowski; Martijn R. Pistorius

texts

######
eye 103

######
favorite 0

######
comment 0

In this paper we consider an optimal dividend problem for an insurance company which risk process evolves as a spectrally negative Levy process (in the absence of dividend payments). We assume that the management of the company controls timing and size of dividend payments. The objective is to maximize the sum of the expected cumulative discounted dividends received until the moment of ruin and a penalty payment at the moment of ruin which is an increasing function of the size of the shortfall...

Source: http://arxiv.org/abs/1110.4965v2